scholarly journals The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

2013 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Credit Risk ◽  
Risk Modeling ◽  
Credit Risk Modeling ◽  
Default Dependency ◽  
The Impact

scholarly journals The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Credit Risk ◽  
Financial Markets ◽  
Default Risk ◽  
Risk Modeling ◽  
Financial Instruments ◽  
Otc Derivatives ◽  
Counterparty Credit Risk ◽  
Comprehensive Framework ◽  
The Impact

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on valuation, since the majority of OTC derivatives are collateralized. The model shows that a fully collateralized swap is risk-free, whereas a fully collateralized CDS is not equivalent to a risk-free one.

scholarly journals The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Credit Risk ◽  
Financial Markets ◽  
Default Risk ◽  
Risk Modeling ◽  
Financial Instruments ◽  
Otc Derivatives ◽  
Counterparty Credit Risk ◽  
Comprehensive Framework ◽  
The Impact

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on valuation, since the majority of OTC derivatives are collateralized. The model shows that a fully collateralized swap is risk-free, whereas a fully collateralized CDS is not equivalent to a risk-free one.

scholarly journals The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Credit Risk ◽  
Financial Markets ◽  
Default Risk ◽  
Risk Modeling ◽  
Financial Instruments ◽  
Otc Derivatives ◽  
Counterparty Credit Risk ◽  
Comprehensive Framework ◽  
The Impact

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on valuation, since the majority of OTC derivatives are collateralized. The model shows that a fully collateralized swap is risk-free, whereas a fully collateralized CDS is not equivalent to a risk-free one.

scholarly journals The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Credit Risk ◽  
Financial Markets ◽  
Default Risk ◽  
Risk Modeling ◽  
Financial Instruments ◽  
Otc Derivatives ◽  
Counterparty Credit Risk ◽  
Comprehensive Framework ◽  
The Impact

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on valuation, since the majority of OTC derivatives are collateralized. The model shows that a fully collateralized swap is risk-free, whereas a fully collateralized CDS is not equivalent to a risk-free one.

scholarly journals The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Credit Risk ◽  
Financial Markets ◽  
Default Risk ◽  
Risk Modeling ◽  
Financial Instruments ◽  
Otc Derivatives ◽  
Counterparty Credit Risk ◽  
Comprehensive Framework ◽  
The Impact

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on valuation, since the majority of OTC derivatives are collateralized. The model shows that a fully collateralized swap is risk-free, whereas a fully collateralized CDS is not equivalent to a risk-free one.

Credit Risk Modeling with Delayed Information

2012 ◽  
Author(s):  
Takanori Adachi ◽  
ryozo miura ◽  
Hidetoshi Nakagawa
Keyword(s):  
Credit Risk ◽  
Risk Modeling ◽  
Delayed Information ◽  
Credit Risk Modeling
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